{"id":"https://openalex.org/W4389780727","doi":"https://doi.org/10.1137/22m1531580","title":"Liquidity Based Modeling of Asset Price Bubbles via Random Matching","display_name":"Liquidity Based Modeling of Asset Price Bubbles via Random Matching","publication_year":2023,"publication_date":"2023-12-15","ids":{"openalex":"https://openalex.org/W4389780727","doi":"https://doi.org/10.1137/22m1531580"},"language":"en","primary_location":{"id":"doi:10.1137/22m1531580","is_oa":false,"landing_page_url":"http://dx.doi.org/10.1137/22m1531580","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5044090390","display_name":"Francesca Biagini","orcid":"https://orcid.org/0000-0001-9801-5259"},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Francesca Biagini","raw_affiliation_strings":["Workgroup Financial Mathematics, Department of Mathematics, Ludwig-Maximilians-Universit\u00e4t M\u00fcnchen, Theresienstr. 39, 80333 Munich, Germany"],"affiliations":[{"raw_affiliation_string":"Workgroup Financial Mathematics, Department of Mathematics, Ludwig-Maximilians-Universit\u00e4t M\u00fcnchen, Theresienstr. 39, 80333 Munich, Germany","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5043460625","display_name":"Andrea Mazzon","orcid":"https://orcid.org/0000-0001-9271-7049"},"institutions":[{"id":"https://openalex.org/I119439378","display_name":"University of Verona","ror":"https://ror.org/039bp8j42","country_code":"IT","type":"education","lineage":["https://openalex.org/I119439378"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Andrea Mazzon","raw_affiliation_strings":["Department of Economics, University of Verona, Via Cantarane 24, 37129 Verona, Italy"],"affiliations":[{"raw_affiliation_string":"Department of Economics, University of Verona, Via Cantarane 24, 37129 Verona, Italy","institution_ids":["https://openalex.org/I119439378"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5065755537","display_name":"Thilo Meyer\u2010Brandis","orcid":"https://orcid.org/0000-0002-6374-7983"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Thilo Meyer-Brandis","raw_affiliation_strings":["Workgroup Financial Mathematics, Department of Mathematics, Ludwig-Maximilians-Universit\u00e4t M\u00fcnchen, Theresienstr. 39, 80333 Munich, Germany"],"affiliations":[{"raw_affiliation_string":"Workgroup Financial Mathematics, Department of Mathematics, Ludwig-Maximilians-Universit\u00e4t M\u00fcnchen, Theresienstr. 39, 80333 Munich, Germany","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5006608155","display_name":"Katharina Oberpriller","orcid":"https://orcid.org/0000-0001-7470-2193"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Katharina Oberpriller","raw_affiliation_strings":["Workgroup Financial Mathematics, Department of Mathematics, Ludwig-Maximilians-Universit\u00e4t M\u00fcnchen, Theresienstr. 39, 80333 Munich, Germany"],"affiliations":[{"raw_affiliation_string":"Workgroup Financial Mathematics, Department of Mathematics, Ludwig-Maximilians-Universit\u00e4t M\u00fcnchen, Theresienstr. 39, 80333 Munich, Germany","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5044090390"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.5284,"has_fulltext":false,"cited_by_count":3,"citation_normalized_percentile":{"value":0.89947876,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":91,"max":96},"biblio":{"volume":"14","issue":"4","first_page":"1304","last_page":"1342"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9958999752998352,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9954000115394592,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/market-liquidity","display_name":"Market liquidity","score":0.6202934980392456},{"id":"https://openalex.org/keywords/matching","display_name":"Matching (statistics)","score":0.5755292773246765},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5386964678764343},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.5334280729293823},{"id":"https://openalex.org/keywords/arbitrage","display_name":"Arbitrage","score":0.4925723671913147},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.483224481344223},{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.45571091771125793},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.4428221583366394},{"id":"https://openalex.org/keywords/forward-price","display_name":"Forward price","score":0.4222475290298462},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.3532114028930664},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.34148645401000977},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.29626479744911194},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.21509331464767456},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.09749671816825867}],"concepts":[{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.6202934980392456},{"id":"https://openalex.org/C165064840","wikidata":"https://www.wikidata.org/wiki/Q1321061","display_name":"Matching (statistics)","level":2,"score":0.5755292773246765},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5386964678764343},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.5334280729293823},{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.4925723671913147},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.483224481344223},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.45571091771125793},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.4428221583366394},{"id":"https://openalex.org/C149315309","wikidata":"https://www.wikidata.org/wiki/Q29432","display_name":"Forward price","level":2,"score":0.4222475290298462},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3532114028930664},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.34148645401000977},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.29626479744911194},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.21509331464767456},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.09749671816825867},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/22m1531580","is_oa":false,"landing_page_url":"http://dx.doi.org/10.1137/22m1531580","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G5604371643","display_name":null,"funder_award_id":"SCHM 2160/15-1","funder_id":"https://openalex.org/F4320320879","funder_display_name":"Deutsche Forschungsgemeinschaft"}],"funders":[{"id":"https://openalex.org/F4320320879","display_name":"Deutsche Forschungsgemeinschaft","ror":"https://ror.org/018mejw64"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":38,"referenced_works":["https://openalex.org/W1498636830","https://openalex.org/W1594571185","https://openalex.org/W1994438934","https://openalex.org/W1998280734","https://openalex.org/W2001891240","https://openalex.org/W2012679794","https://openalex.org/W2023576194","https://openalex.org/W2024860942","https://openalex.org/W2033784808","https://openalex.org/W2047744180","https://openalex.org/W2050643653","https://openalex.org/W2053564429","https://openalex.org/W2082092387","https://openalex.org/W2091171880","https://openalex.org/W2091682836","https://openalex.org/W2104125488","https://openalex.org/W2121606993","https://openalex.org/W2133912893","https://openalex.org/W2138588791","https://openalex.org/W2147672699","https://openalex.org/W2156574103","https://openalex.org/W2221073436","https://openalex.org/W2551892736","https://openalex.org/W2592428557","https://openalex.org/W2767832430","https://openalex.org/W3022221851","https://openalex.org/W3121256017","https://openalex.org/W3121532378","https://openalex.org/W3121818998","https://openalex.org/W3122445692","https://openalex.org/W3123195209","https://openalex.org/W3124301986","https://openalex.org/W3124677603","https://openalex.org/W3125555882","https://openalex.org/W4248704747","https://openalex.org/W4256354998","https://openalex.org/W4302331818","https://openalex.org/W4389116322"],"related_works":["https://openalex.org/W3124616626","https://openalex.org/W3125573662","https://openalex.org/W3140311013","https://openalex.org/W3123672265","https://openalex.org/W4231412345","https://openalex.org/W3125739650","https://openalex.org/W3123661710","https://openalex.org/W3188950768","https://openalex.org/W4214559097","https://openalex.org/W1544774258"],"abstract_inverted_index":{".In":[0],"this":[1,49],"paper":[2],"we":[3,51],"study":[4],"the":[5,28,53,86,93],"evolution":[6],"of":[7,27,32,61],"asset":[8],"price":[9,107],"bubbles":[10],"driven":[11],"by":[12],"contagion":[13],"effects":[14],"spreading":[15],"among":[16],"investors":[17],"via":[18],"a":[19,24,77],"random":[20,59,110],"matching":[21,60,111],"mechanism":[22],"in":[23,85],"discrete-time":[25],"version":[26],"liquidity":[29],"based":[30],"model":[31,96],"[R.":[33],"A.":[34,39],"Jarrow,":[35],"P.":[36],"Protter,":[37],"and":[38,66,99],"F.":[40],"Roch,":[41],"Quant.":[42],"Finance,":[43],"12":[44],"(2012),":[45],"pp.":[46,74],"1339\u20131349].":[47],"To":[48],"scope,":[50],"extend":[52],"Markov":[54],"conditionally":[55],"independent":[56],"dynamic":[57],"directed":[58,109],"[D.":[62],"Duffie,":[63],"L.":[64],"Qiao,":[65],"Y.":[67],"Sun,":[68],"J.":[69],"Econ.":[70],"Theory,":[71],"174":[72],"(2018),":[73],"124\u2013183]":[75],"to":[76,80],"stochastic":[78,82],"setting":[79],"include":[81],"exogenous":[83],"factors":[84],"model.":[87],"We":[88],"derive":[89],"conditions":[90],"guaranteeing":[91],"that":[92],"financial":[94],"market":[95],"is":[97],"arbitrage-free":[98],"present":[100],"some":[101],"numerical":[102],"simulation":[103],"illustrating":[104],"our":[105],"approach.Keywordsasset":[106],"bubblesdynamic":[108],"with":[112],"stochasic":[113],"intensitiescontagionliquidityMSC":[114],"codes60G0791G1591G30":[115]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":2}],"updated_date":"2025-12-21T01:58:51.020947","created_date":"2025-10-10T00:00:00"}
